You can price and analyze fixed-income and equity instruments. For fixed-income modeling, you can calculate price, yield, spread, and sensitivity values for several types of securities and derivatives, including convertible bonds, mortgage-backed securities, treasury bills, bonds, swaps, caps, floors, and floating-rate notes. For equities, you can compute price, implied volatility, and greek values of vanilla options and several exotic derivatives.

Instruments

Calculate price and sensitivity of fixed-income securities, swaps, and forward swaps, as well as for fixed-income instruments with options/embedded options and common interest rate options (including bond options, floating-rate note options, caps, floors, and swaptions) using a variety of pricing methods and models.

Interest-Rate Instruments

​Vanilla European Options

Compute prices and sensitivities using Heston, Bates, and Merton76 models with FFT and numerical integration

Numerix CAIL Engine

Access the Numerix Engine directly from MATLAB using an updated API

See release notes for details on any of these features and corresponding functions.

Computational Finance Suite

The MATLAB Computational Finance Suite is a set of 12 essential products that enables you to develop quantitative applications for risk management, investment management, econometrics, pricing and valuation, insurance, and algorithmic trading.

This website uses cookies to improve your user experience, personalize content and ads, and analyze website traffic. By continuing to use this website, you consent to our use of cookies. Please see our Privacy Policy to learn more about cookies and how to change your settings.